| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -2.36% | -1.7% |
| CAGR﹪ | -2.44% | -1.76% |
| Sharpe | -0.26 | -0.23 |
| Prob. Sharpe Ratio | 13.99% | 14.61% |
| Smart Sharpe | -0.23 | -0.21 |
| Sortino | -0.39 | -0.35 |
| Smart Sortino | -0.34 | -0.31 |
| Sortino/√2 | -0.27 | -0.25 |
| Smart Sortino/√2 | -0.24 | -0.22 |
| Omega | 0.96 | 0.96 |
| Max Drawdown | -19.02% | -18.79% |
| Longest DD Days | 253 | 253 |
| Volatility (ann.) | 24.04% | 24.12% |
| R^2 | 0.86 | 0.86 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.13 | -0.09 |
| Skew | 0.8 | 0.98 |
| Kurtosis | 5.23 | 5.63 |
| Expected Daily | -0.01% | -0.01% |
| Expected Monthly | -0.18% | -0.13% |
| Expected Yearly | -1.19% | -0.85% |
| Kelly Criterion | -0.81% | 0.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.49% | -2.49% |
| Expected Shortfall (cVaR) | -2.49% | -2.49% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.0 | 0.01 |
| Gain/Pain (1M) | 0.01 | 0.04 |
| Payoff Ratio | 0.94 | 0.98 |
| Profit Factor | 1.0 | 1.01 |
| Common Sense Ratio | 0.94 | 1.04 |
| CPC Index | 0.48 | 0.5 |
| Tail Ratio | 0.94 | 1.03 |
| Outlier Win Ratio | 3.57 | 3.6 |
| Outlier Loss Ratio | 2.93 | 3.01 |
| MTD | 1.65% | 1.58% |
| 3M | -8.01% | -7.12% |
| 6M | 2.87% | 3.57% |
| YTD | -4.98% | -4.33% |
| 1Y | -2.36% | -1.7% |
| 3Y (ann.) | -2.44% | -1.76% |
| 5Y (ann.) | -2.44% | -1.76% |
| 10Y (ann.) | -2.44% | -1.76% |
| All-time (ann.) | -2.44% | -1.76% |
| Best Day | 9.3% | 9.31% |
| Worst Day | -4.08% | -4.15% |
| Best Month | 10.61% | 9.51% |
| Worst Month | -7.86% | -7.79% |
| Best Year | 2.76% | 2.75% |
| Worst Year | -4.98% | -4.33% |
| Avg. Drawdown | -4.51% | -4.42% |
| Avg. Drawdown Days | 36 | 36 |
| Recovery Factor | -0.12 | -0.09 |
| Ulcer Index | 0.11 | 0.1 |
| Serenity Index | -0.07 | -0.07 |
| Avg. Up Month | 4.38% | 4.15% |
| Avg. Down Month | -5.19% | -4.85% |
| Win Days | 51.02% | 50.81% |
| Win Month | 53.85% | 53.85% |
| Win Quarter | 40.0% | 40.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.92 | - |
| Alpha | -0.01 | - |
| Correlation | 92.64% | - |
| Treynor Ratio | -10.13% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 2.75 | 2.76 | 1.00 | + |
| 2025 | -4.33 | -4.98 | 1.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-26 | 2025-11-06 | -19.02 | 253 |
| 2024-11-20 | 2024-12-26 | -13.65 | 36 |
| 2025-01-23 | 2025-02-13 | -3.44 | 21 |
| 2025-01-03 | 2025-01-10 | -1.56 | 7 |
| 2025-02-18 | 2025-02-20 | -1.51 | 2 |
| 2025-01-14 | 2025-01-16 | -0.54 | 2 |
| 2025-01-20 | 2025-01-22 | -0.53 | 2 |
| 2024-12-27 | 2024-12-30 | -0.30 | 3 |
| 2025-02-24 | 2025-02-25 | -0.07 | 1 |